Fast QMC Matrix-Vector Multiplication
نویسندگان
چکیده
منابع مشابه
Fast QMC Matrix-Vector Multiplication
Quasi-Monte Carlo (QMC) rules 1/N ∑N−1 n=0 f(ynA) can be used to approximate integrals of the form ∫ [0,1]s f(yA) dy, where A is a matrix and y is row vector. This type of integral arises for example from the simulation of a normal distribution with a general covariance matrix, from the approximation of the expectation value of solutions of PDEs with random coefficients, or from applications fr...
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ژورنال
عنوان ژورنال: SIAM Journal on Scientific Computing
سال: 2015
ISSN: 1064-8275,1095-7197
DOI: 10.1137/151005518